Calculates Credit Risk Valuation Adjustments
Calculates a number of valuation adjustments including CVA, DVA, FBA, FCA, MVA and KVA.
A two-way margin agreement has been implemented.
For the KVA calculation three regulatory frameworks are supported: CEM, SA-CCR and IMM.
The probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported.
If you want to become a contributor to the project or use this code for commercial purposes or for any other queries please contact us at firstname.lastname@example.org or visit our website www.openriskcalculator.com